本文選題：會(huì)計(jì)模型 + 市場(chǎng)模型��； 參考：《廣東外語外貿(mào)大學(xué)》2017年碩士論文

【摘要】：我國(guó)上市公司的數(shù)量正在逐年增多,市場(chǎng)競(jìng)爭(zhēng)日益加劇,公司一旦不注重防范風(fēng)險(xiǎn)、加強(qiáng)經(jīng)營(yíng)管理,就容易出現(xiàn)財(cái)務(wù)方面的問題、陷入財(cái)務(wù)困境當(dāng)中,市場(chǎng)參與者會(huì)因?yàn)楣鞠萑胴?cái)務(wù)困境而遭受嚴(yán)重的損失。鑒于此,有必要通過一些財(cái)務(wù)困境預(yù)測(cè)模型提前預(yù)測(cè)企業(yè)的財(cái)務(wù)狀況,給投資者、債權(quán)人提供一定的警示作用,避免他們?cè)馐車?yán)重的損失。國(guó)外從20世紀(jì)30年代就開始了財(cái)務(wù)困境預(yù)測(cè)的研究,在借鑒國(guó)外研究的基礎(chǔ)上,我國(guó)學(xué)者從1987年開始研究財(cái)務(wù)困境預(yù)測(cè),關(guān)于財(cái)務(wù)困境預(yù)測(cè)已經(jīng)形成了豐富的研究成果。國(guó)內(nèi)外對(duì)財(cái)務(wù)困境預(yù)測(cè)的模型有會(huì)計(jì)模型和市場(chǎng)模型,會(huì)計(jì)模型應(yīng)用的比較廣泛的是Z-score模型和Logistic模型,市場(chǎng)模型主要有Merton模型、KMV公司提出的KMV模型和Bharath和Shumway(2008)提出的Na?ve DD模型。國(guó)內(nèi)目前關(guān)于財(cái)務(wù)困境預(yù)測(cè)的兩種模型的優(yōu)劣還沒有定論。本文以2011-2016年的86家財(cái)務(wù)困境和86家財(cái)務(wù)健康的上市公司為研究樣本,系統(tǒng)比較了兩類模型的預(yù)測(cè)能力。首先將償債能力,營(yíng)運(yùn)能力,盈利能力、發(fā)展能力和現(xiàn)金流等方面的十二個(gè)指標(biāo)作為L(zhǎng)ogistic財(cái)務(wù)困境預(yù)測(cè)模型的初選指標(biāo),經(jīng)過正態(tài)分布檢驗(yàn),顯著性差異檢驗(yàn)、單變量Logit回歸以及逐步回歸的方法,篩選出構(gòu)成Logistic財(cái)務(wù)困境預(yù)測(cè)模型的四個(gè)指標(biāo):現(xiàn)金流量比率、資產(chǎn)負(fù)債率、總資產(chǎn)利潤(rùn)率和總資產(chǎn)增長(zhǎng)率,接著將該模型與Altman(1968)的Z-score模型一起作為會(huì)計(jì)模型與作為市場(chǎng)模型的Bharath和Shumway(2008)的Na?ve DD模型以及改進(jìn)后Na?ve DD模型(1)的財(cái)務(wù)困境預(yù)測(cè)能力進(jìn)行對(duì)比,ROC曲線比較分析顯示:Logistic財(cái)務(wù)困境預(yù)測(cè)模型的ROC曲線下的面積最大,其次是Zscore模型,再其次是改進(jìn)的Na?ve DD模型以及Na?ve DD模型,表明會(huì)計(jì)模型要優(yōu)于市場(chǎng)模型,給投資者、債權(quán)人在作決策時(shí)更多地應(yīng)該參考會(huì)計(jì)方面的信息提供了一定的借鑒作用;實(shí)證結(jié)果還表明了Na?ve DD模型在不同的違約點(diǎn)下預(yù)測(cè)能力并沒有顯著性差異,啟示學(xué)者們?cè)谘芯渴袌?chǎng)模型時(shí),應(yīng)該把關(guān)注的焦點(diǎn)放在資產(chǎn)價(jià)值和其波動(dòng)性上,而不是把研究的焦點(diǎn)放在違約點(diǎn)的改進(jìn)上。
[Abstract]:The number of listed companies in our country is increasing year by year, and the market competition is intensifying day by day. Once the companies do not pay attention to preventing risks and strengthening their management, they are prone to financial problems and fall into financial difficulties. Market participants will suffer severe losses because the company is in financial distress. In view of this, it is necessary to forecast the financial situation of an enterprise in advance through some financial distress forecasting models, so as to provide a certain warning to investors and creditors to avoid their serious losses. The study of financial distress prediction began in foreign countries in 1930s. On the basis of foreign research, Chinese scholars began to study financial distress prediction in 1987, and rich research results have been formed on financial distress prediction. There are accounting models and market models for financial distress prediction at home and abroad. Z-score model and Logistic model are widely used in accounting model. The market models mainly include Merton model KMV model and Nave DD model put forward by Bharath and Shumway (2008). At present, the advantages and disadvantages of the two models of financial distress prediction are still uncertain. In this paper, 86 financial distress and 86 financial health listed companies in 2011-2016 are taken as the research samples, and the predictive ability of the two models is compared systematically. First of all, twelve indexes of solvency, operating ability, profitability, development ability and cash flow are taken as primary indexes of Logistic financial distress prediction model, which are tested by normal distribution and significant difference test. The single variable logit regression and stepwise regression are used to screen out the four indexes that constitute the Logistic financial distress prediction model: cash flow ratio, asset-liability ratio, total asset profit margin and total asset growth rate. Then the model is compared with Altman (1968) Z-score model as accounting model, Bharath and Shumway (2008) as market model and Nave DD model as well as improved Nave DD model (1). The area under the ROC curve is the largest in the forecasting model. The second is Zscore model, then the improved Nave DD model and Nave DD model, which shows that the accounting model is better than the market model, which provides some reference for investors and creditors to refer to accounting information when making decisions. The empirical results also show that there is no significant difference in the predictive ability of Nave DD model under different default points. When researchers study market models, they should focus on the value of assets and their volatility. Instead of focusing on improving the point of default.
【學(xué)位授予單位】：廣東外語外貿(mào)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F275

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